ChihYuChiang/dlsr: Double Lasso Selection

The \code{doubleLassoSelect} function is an alternative implementation of Double Lasso Selection on OLS. This implementation is based primarily on package \code{glmet} and a paper of O. Urminsky, C. Hansen, and V. Chernozhukov (working draft), as listed in the reference.\cr\cr For original implementation, please see \code{hdm} package by Chernozhukov, Hansen, and Spindler. About the mathematical details of the method, please refer to the original papers listed in the reference section.

install.packages("remotes")
remotes::install_github("ChihYuChiang/dlsr")